For my entry, I've tried to make a concept that minimizes the amount of downside accrued by a player for pursuing the Wonder objectives while still making the reward for achieving each step significant enough to justify the effort (while simultaneously not making it an auto-win). A tough balancing act, for sure. The method was to introduce "Sacred Lands," a Treasure/Victory card that is used to build the Wonders (and also triggers their inclusion in the game in the first place). Sacred Lands is the kingdom card, and when it is selected for inclusion in the game, 1 or 2 Wonders are also randomly picked from a deck of them.
Sacred Lands cards are used in different ways to achieve each "step" of the Wonder. Wonders are completed after 3 steps have been completed by a player, and no more steps can be completed at that point. The player that completes the third step gets the first reward, any player completing exactly 2 gets the second, and single step gets you the third reward.
Early game effort towards building the Wonder is mitigated by the Wonder's design. Each Wonder compensates you in some way for your effort (in addition to its normal advantage). For instance, for the sample Wonder, Great Pyramids, you must buy Victory cards. Great Pyramids' ability, lets you Exile or trash cards (except the first stage, which accomplished with only the default Estates you already have), somewhat compensating you for your effort. Other Wonders (I've included a second one just to show the idea) similarly compensate for the effort.
The differences between the tiers of Wonder-abillities is significant enough to warrant going after, but not game-breaking. Allowing an opponent to chase the big ability while you ignore it could prove to be debilitating, though, so you must weigh your options. An opponent could stock up on Victory cards and unload all three stages in one turn, too, though, so you have to pay attention.
The Wonder:
The Kingdom card that triggers the inclusion of the Wonder:
I chose to just put reminder text on the card and explain the concepts here due to space considerations. The Wonder is built in 3 stages. To complete a stage, you must simply do what it says at the bottom of the card for each stage:
Stage 1: At any time during one of your turns, discard 2 Estates.
Stage 2: At any time during one of your turns, discard 2 Sacred Lands (Sacred Lands are the Kingdom pile that triggers the inclusion of a randomly selected Wonder (Great Pyramids is one of them).
Stage 3: At any time during one of your turns, discard 2 Duchies.
The Stages must be completed in order (per player, so if player 1 completes Stage 1, he may next complete Stage 2, but player 2 must still complete Stage 1 before continuing). The completion of Stage 3 by a player means the Wonder is constructed and no more stages can be completed by any players.
A constructed Wonder confers advantages to all players who completed at least one stage. The player the completed the Wonder gets the first advantage ("...you may trash or exile a card from your hand.". Any player who completed exactly 2 Stages gets the second advantage ("...you may trash a card from your hand."). Any player who completed just 1 Stage gets the third advantage ("...you may trash a Treasure card from your hand.").
---
Adding: just to further explain the concept, Wonders are not normal Landscapes in my version (you don't shuffle them in with Events, etc.). They are an extra pile to be included in the game only when "Sacred Lands" is selected for the Kingdom. This triggers a drawing of a number of random Wonders from the Wonders deck to include. You can choose one or two (it's Dominion, you can do whatever you want, really, but 1 or 2 is recommended). I'm showing here an alternate Wonder to show the kinds of things that can be done by tying these to Sacred Lands rather than having them be a normal Landscape on their own, since it's an important part of the design. This is not part of the entry other than to illustrate the design concept:
